Description

You will design and implement mathematical models for pricing financial derivatives and Treasury Futures.

Responsibilities

• Develop risk models for portfolio management, Value at Risk (VaR), and stress testing.
• Write C++ code for prototyping and implementing financial models.
• Calibrate models to market data to ensure statistical robustness.
• Collaborate with traders, portfolio managers, and quant developers.

Required Skills

• 17+ years of experience in quantitative development or modeling.
• Proficiency in C++ and Python for model implementation and data analysis.
• Deep knowledge of stochastic processes, probability, and linear algebra.
• Expertise in option pricing models including Black-Scholes, Heston, and SABR.
• Experience with numerical methods: Monte Carlo simulation, PDE solvers, FDM, and FEM.
• Application of stochastic calculus and PDEs for derivative pricing.
• Knowledge of statistics and optimization: Kalman filtering, regression models, and convex optimization.

Preferred Skills

• Experience in investment banking or asset management.
• Familiarity with quant libraries and financial engineering concepts.

Key Skills

Education

Any Graduate